Quality has demonstrated the ability to reward long-term investors. Similarly, Quality tends to lag during low-quality rallies - or when the lowest-quality stocks lead the market in a rebound.
As a quality measurement, Piotroski F-Score is a number between 0-9 which is used to assess strength of company's financial condition. The F-Score is used by investors to find the best value stocks. If a company has a score of 8 or 9, it is considered a good value. If the score adds up to between 0-2 points, the stock is considered weak.
As researched by the American Association of Individual Investors where it tracks 63 separate stock picking strategies that include a mix of growth, value, momentum, changes in earnings estimates, and insider buying, the winning strategy for calendar year 2010 was one by using Piotroski F-Score with a 138.8% stock market gain over 12 months.
The compelling result comes from value investing and Piotroski F-Score's efficient calculation metrics to find the most valuable stocks.
Piotroski F-Score performance is demonstrated by comparing portfolios that are comprised of equities with a specific F-Score. For example, portfolio F1 contains equities that have a F-Score of 1, portfolio F2 contains equities that have a F-Score of 2, and so on.
While the F-Score is a rating between 0 to 9, in the US market there are few to none companies that have displayed a F-Score of 0 or 9. Thus, below only portfolios with an F-Score of 1 to 8 are displayed.
Portfolios were rebalanced monthly using a market-cap weighted method, with 20 bps deducted as costs per transaction.
Annual Return |
Cumulative Return |
Volatility |
Sharpe ratio |
Calmar ratio |
Max Drawdown |
Omega ratio |
Sortino ratio |
Skew |
Kurtosis |
Tail ratio |
Monthly value at risk |
Alpha |
Beta |
SPY |
8.77% |
497.21 |
14.71% |
0.65 |
0.17 |
-52.56% |
1.63 |
0.96 |
-0.60 |
1.37 |
0.98 |
-0.06 |
0.00% |
1.00 |
F1 | F2 | F3 | F4 | F5 | F6 | F7 | F8 |
-7.33% | 9.49% | 9.99% | 10.32% | 9.32% | 8.42% | 9.23% | 8.39% |
-80.17 | 586.23 | 656.69 | 705.82 | 564.22 | 457.03 | 553.37 | 454.41 |
25.45% | 30.23% | 22.34% | 18.01% | 17.18% | 16.85% | 17.32% | 19.01% |
-0.17 | 0.45 | 0.54 | 0.64 | 0.61 | 0.57 | 0.60 | 0.52 |
-0.08 | 0.13 | 0.16 | 0.19 | 0.18 | 0.16 | 0.18 | 0.18 |
-90.71% | -74.11% | -62.92% | -54.74% | -51.93% | -52.05% | -51.95% | -46.50% |
0.78 | 1.46 | 1.58 | 1.70 | 1.64 | 1.58 | 1.62 | 1.49 |
-0.26 | 0.73 | 0.88 | 1.01 | 0.93 | 0.86 | 0.91 | 0.80 |
1.39 | 0.45 | 0.32 | -0.02 | -0.28 | -0.35 | -0.44 | -0.08 |
15.97 | 3.68 | 4.47 | 4.84 | 3.80 | 3.89 | 3.51 | 2.28 |
0.75 | 1.12 | 1.24 | 1.08 | 1.06 | 0.99 | 1.08 | 0.92 |
-0.12 | -0.13 | -0.10 | -0.08 | -0.07 | -0.07 | -0.07 | -0.08 |
-7.49% | 3.21% | 2.52% | 3.34% | 2.58% | 1.86% | 2.58% | 1.88% |
0.42 | 1.43 | 1.31 | 1.12 | 1.08 | 1.06 | 1.07 | 1.10 |